CD Burning question

[MDK7281972]

I have a file that is broken into 40 seperate files that I downloaded. Each file of the 40 has a corresponding suffix (.002, .003, .004, etc.) My question is how do I make these seperate files as one? Then burn then to a disk to make this program functional? Do I need a special program? I am so lost!?! I've never tried working with a file in this way before and I've been searching everywhere for an answer with no results. I hope someone here can help??? Thanks.

Mark